Sequential action and beliefs under partially observable DSGE environments

Seong-Hoon Kim

Sequential action and beliefs under partially observable DSGE environments

Seong-Hoon Kim

Research output: Working paper

Abstract

This paper introduces a classification of DSGEs from a Markovian perspective,
and positions the class of POMDP (Partially Observable Markov Decision Process) to
the center of a generalization of linear rational expectations models. The analysis of
the POMDP class builds on the previous development in dynamic controls for linear
system, and derives a solution algorithm by formulating an equilibrium as a fixed
point of an operator that maps what we observe into what we believe.

Original language	English
Publisher	Centre for Dynamic Macroeconomic Analysis
Number of pages	33
Publication status	Published - Dec 2011

Publication series

Name	Centre for Dynamic Macroeconomic Analysis, Working Paper
No.	1116

Keywords

DSGE
Partially Observable Markov Decision Process
POMDP
Observation channel
Kalman filter

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POMDP DSGEAccepted author manuscript, 823 KB

Cite this

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abstract = "This paper introduces a classification of DSGEs from a Markovian perspective,and positions the class of POMDP (Partially Observable Markov Decision Process) tothe center of a generalization of linear rational expectations models. The analysis ofthe POMDP class builds on the previous development in dynamic controls for linearsystem, and derives a solution algorithm by formulating an equilibrium as a fixedpoint of an operator that maps what we observe into what we believe.",

keywords = "DSGE, Partially Observable Markov Decision Process, POMDP, Observation channel, Kalman filter",

author = "Seong-Hoon Kim",

note = "Revised and resubmitted at Computational Economics",

year = "2011",

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N2 - This paper introduces a classification of DSGEs from a Markovian perspective,and positions the class of POMDP (Partially Observable Markov Decision Process) tothe center of a generalization of linear rational expectations models. The analysis ofthe POMDP class builds on the previous development in dynamic controls for linearsystem, and derives a solution algorithm by formulating an equilibrium as a fixedpoint of an operator that maps what we observe into what we believe.

AB - This paper introduces a classification of DSGEs from a Markovian perspective,and positions the class of POMDP (Partially Observable Markov Decision Process) tothe center of a generalization of linear rational expectations models. The analysis ofthe POMDP class builds on the previous development in dynamic controls for linearsystem, and derives a solution algorithm by formulating an equilibrium as a fixedpoint of an operator that maps what we observe into what we believe.

KW - DSGE

KW - Partially Observable Markov Decision Process

KW - POMDP

KW - Observation channel

KW - Kalman filter

UR - http://www.st-andrews.ac.uk/cdma/papers.html

M3 - Working paper

T3 - Centre for Dynamic Macroeconomic Analysis, Working Paper

BT - Sequential action and beliefs under partially observable DSGE environments

PB - Centre for Dynamic Macroeconomic Analysis

ER -

Sequential action and beliefs under partially observable DSGE environments

Abstract

Publication series

Keywords

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Sequential action and beliefs under partially observable DSGE environments

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